Question: Mario & Bros. stock does not pay dividends. Mario currently trades at $14.50 per share and has an annual volatility of 65%. The continuous risk-free

Mario & Bros. stock does not pay dividends. Mario currently trades at $14.50 per share and has an annual volatility of 65%. The continuous risk-free rate is 5% per year. What is the price of a 9-month European call option on Mario with an exercise price of $20? Use the Black-Scholes pricing model.

$10.02

$7.49

$1.81

$6.57

$1.62

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